On parameter estimation for critical affine processes
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Publication:1951130
DOI10.1214/13-EJS786zbMath1336.60165arXiv1210.1866OpenAlexW2952369164MaRDI QIDQ1951130
Mátyás Barczy, Leif Döring, Zhenghu Li, Gyula Pap
Publication date: 29 May 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1210.1866
Asymptotic properties of parametric estimators (62F12) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)
Related Items (13)
On convergence properties of infinitesimal generators of scaled multitype CBI processes ⋮ Statistical inference for critical continuous state and continuous time branching processes with immigration ⋮ Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model ⋮ Stationarity and Ergodicity for an Affine Two-Factor Model ⋮ Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes ⋮ On conditional least squares estimation for affine diffusions based on continuous time observations ⋮ Reduction and reconstruction of stochastic differential equations via symmetries ⋮ Volterra square-root process: stationarity and regularity of the law ⋮ Parameter estimation in two-type continuous-state branching processes with immigration ⋮ Parameter estimation for a subcritical affine two factor model ⋮ Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations ⋮ Asymptotic behavior of critical, irreducible multi-type continuous state and continuous time branching processes with immigration ⋮ Least-squares estimation for the subcritical Heston model based on continuous-time observations
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